Quantifying Uncertainty in Deep Spatiotemporal Forecasting
- URL: http://arxiv.org/abs/2105.11982v1
- Date: Tue, 25 May 2021 14:35:46 GMT
- Title: Quantifying Uncertainty in Deep Spatiotemporal Forecasting
- Authors: Dongxia Wu, Liyao Gao, Xinyue Xiong, Matteo Chinazzi, Alessandro
Vespignani, Yi-An Ma, Rose Yu
- Abstract summary: We describe two types of forecasting problems: regular grid-based and graph-based.
We analyze UQ methods from both the Bayesian and the frequentist point view, casting in a unified framework via statistical decision theory.
Through extensive experiments on real-world road network traffic, epidemics, and air quality forecasting tasks, we reveal the statistical computational trade-offs for different UQ methods.
- Score: 67.77102283276409
- License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
- Abstract: Deep learning is gaining increasing popularity for spatiotemporal
forecasting. However, prior works have mostly focused on point estimates
without quantifying the uncertainty of the predictions. In high stakes domains,
being able to generate probabilistic forecasts with confidence intervals is
critical to risk assessment and decision making. Hence, a systematic study of
uncertainty quantification (UQ) methods for spatiotemporal forecasting is
missing in the community. In this paper, we describe two types of
spatiotemporal forecasting problems: regular grid-based and graph-based. Then
we analyze UQ methods from both the Bayesian and the frequentist point of view,
casting in a unified framework via statistical decision theory. Through
extensive experiments on real-world road network traffic, epidemics, and air
quality forecasting tasks, we reveal the statistical and computational
trade-offs for different UQ methods: Bayesian methods are typically more robust
in mean prediction, while confidence levels obtained from frequentist methods
provide more extensive coverage over data variations. Computationally, quantile
regression type methods are cheaper for a single confidence interval but
require re-training for different intervals. Sampling based methods generate
samples that can form multiple confidence intervals, albeit at a higher
computational cost.
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